Tag Archives: normally distributed returns

The distribution of financial returns made simple

Why returns have a stable distribution As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter periods within the long period. The log return over a year is the sum of the daily log returns in the year.  … Continue reading

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Ancient portfolio theory

Before we get to the meat of the subject, I just have to comment on the “modern” of Modern Portfolio Theory. Figure 1: Modern telephone switch Figure 1 shows us a modern telephone switch.  As a bonus we get to see some modern women.  Why don’t we have “portfolio theory” instead of “Modern Portfolio Theory”? … Continue reading

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